"Span All" means span all columns of the text frame the paragraph sits in.
So you need one primary text frame with three columns.
Also, a Primary Text Frame is just a master page item that is automatically overridden when a new page is added based on that master. It's really just a convenience so you don't have manually override the frame as pages are added.
On the page a primary text frame will respond to its master in the same way as any overridden master page item will.
Unless you want one long article, another choice is to skip the primary text frame on the master.
Put 5-6 columns on the master to use as a grid and then draw frames on the pages. This will give you more flexibility with 30 articles. One frame can go across 3 columns and the title can span all 3. Another can go across 2 columns. Another article can go across 5 columns and be in a box, etc.
And it seems like the Master sets things up so there are 3 separate text frames on each page (rather than one primary frame divided into 3 columns) - so when I select my title and set to Span All, nothing happens.
You have to watch out for the difference in the page's Margin and Columns setup vs. the text frame's Text Frame Options.
The page's Margins and Columns is only adding margin and column guides to the page and has nothing to do with the number of columns in a text frame
Here I have a 2 column text frame on a page with guides for 3 columns:
Thanks for the help. Understand better about multiple text frames within a page and span functionality.